Archive for the ‘Eurodollar Options’ Category
Negative?
April 30, 2020 –Yesterday stocks powered to new recent highs with SPX around the 0.618 retracement and up 2.7% on the day as Gilead’s test results again show promise. (ESM0 2941.00). However, the sharp-eyed casual observer might have noticed a few inconsistencies. For example, Q1 GDP was -4.8%. Apparently Reuters had originally released it as +4.8%, […]
SELL PREMIUM! ENHANCE INCOME
April 29, 2020 –Q1 GDP expected -4 to -5%. FOMC announcement and press conference today. Some expect a tweak higher in IOER as the Fed Eff is now setting at just 4 bps, but I would suspect they leave unch’d. After a year or more of the market thinking that pegging terminal libor was easy […]
Of euro$ vol and oil calendars
April 28, 2020 –On April 24, 2015, the Fed Effective was 13 bps with a 0-25 target, just like now. The Fed had not yet begun to raise rates. EDM15 was 9969.5, EDU15 9957.5, not all that far from yesterday’s M20 at 9960.5 U20 9967.5. With essentially the same amount of time until expiration, the […]
Crude lower, stocks higher
April 27, 2020 –Little change in rates on Friday, although the bias was for a flatter curve. 5/30 closed at a new recent low of 81 bps in front of today’s 2 and 5 year auctions. 7s are issued tomorrow. The ten year yield ended at 59.1 bps, down 2.2 on the day. Front end […]
Good news/ bad news
April 26, 2020 – Weekly comment Below is a chart that makes us feel a little bit better about a return to normalcy. The white line is VIX. In March it topped above 80 but on Friday it ended at a new recent low, just a shade under 36. By no means is it close […]
Glitch in the system
April 24, 2020 –Front June WTI rebounded 2.72 by settlement to close 16.50. Jan’21 contract settled 29.36 which was down 0.41. With regard to CLK expiration debacle, a friend mentioned to me that retail longs on one of the popular internet broker platforms were not able to exit because the system would not allow order […]
Rant part 2
April 23, 2020 THESE THOUGHTS ARE MY OWN AND HAVE NOTHING TO DO WITH ANYONE ELSE. I AM RESPONSIBLE FOR CONTENT. AS ALWAYS, I MIGHT BE WRONG. –Terry Duffy, CEO of CME Group appeared on CNBC to give a defense of the May WTI expiration with negative prices. Forgive the Seinfeld references, but it’s like […]
Rate market quiet; vol slips
April 23, 2020 –Quiet day Wednesday with rate futures erasing some of Tuesday’s moves. Yields rose, with tens +4.6 to 61.7 bps. Curve steepened with 2/10 +4.2 to 40.8. In eurodollars, reds -0.75, greens -2.5, blues -3.75 and golds -4.125, so the curve edged steeper there as well. EDM0 settled 9954, up 2.5 on the […]
27 bp euro$, $27 oil
April 22, 2020 –And now, back to our regularly scheduled programming… –Tens slipped another 5.2 bps yesterday to 57.1 bps while twos edged slightly higher to 20.5. The curve flattened, with 2/10 at 36.6 and 5/30 at a new recent low 82.6 bps. Bank stocks continue to lock shaky; the income generated from a positive […]
Rant
April 21, 2020 –What follows here is my own opinion. Nothing to do with my employer or anyone else. –When globex (screen trading) was in its infancy, I was hanging around the floor late one day working at Refco, and by late I mean around 2:30, because eurodollars closed at 2:00pm, I saw that someone […]
